Look what I found in the dipstick
 

99 S420. 47,000 miles. Car had sat for about 5 days not used. I checked the oil dipstick and along with the oil came 2 small peices of plastic shavings (size .25cm). My question is what are these things? Where have they come from? Why didnt the oil filter get this? The oil was changed at the dealer 2000, and 3500 miles ago. The only new engine internals have been oil pump.

The pieces are clear. Almost like shrink wrap. Hope this helps

Don't know about your motor, but for my M119, timing chain guide rails are all plastic, could be some broken pieces fell into the oil pan, their color is dark amber.

Probably some sealant from oil pump replacement? It's important to use sealant only where specified on engine lubrication system, since there are reports of small galley(s) getting blocked by loose, excess silicone type sealants. Remember how small the cam oiler orifices are? Smaller than .25cm. (1/10"). Clear plastic I've not seen. The reason the filter didn't grab them is they are too big to fit through the oil pump screen, so they never got to the filter?. Drain the oil (maybe thru a mesh) and check for other pieces and maybe that will give a clue as to what they are. When was oil pump changed, and why, may give other clues. If the pieces are pliable like shrinkwrap, I'd guess sealant.

The oil pump was swithced out by the dealer about 2k miles ago (6 months). The reason why it was replaced was slightly low oil pressures. Yeah the plastics are just like shrink wrap. Plus, my oil sending unit was replaced also. What would excess sealant do to my motor. Should I imediately change the oil? Should I take this up against the dealer.

I would take it to the dealer. I would have them write it down on a RO (repair order) so it is documented. That way if in the future beyond what they tell you in the next few days, you have a record of your discovery and concerns. Then if something horrible happends outside of their normal service warranty, you are covered.

Is your car in or out of warranty?